Content
2006, Volume 19, Issue 2
- 531-559 Financial Constraints Risk
by Toni M. Whited & Guojun Wu - 561-603 If at First You Don't Succeed: The Effect of the Option to Resolicit on Corporate Takeovers
by Ann B. Gillette & Thomas H. Noe - 605-632 Capital Structure, Compensation and Incentives
by Alan V. S. Douglas - 633-685 Hedging, Familiarity and Portfolio Choice
by Massimo Massa & Andrei Simonov - 687-716 Loan Sales and the Cost of Corporate Borrowing
by A. Burak Güner
2006, Volume 19, Issue 1
- 1-44 Labor Income and Predictable Stock Returns
by Tano Santos & Pietro Veronesi - 45-79 Does the Source of Capital Affect Capital Structure?
by Michael Faulkender & Mitchell A. Petersen - 81-118 Credit Ratings as Coordination Mechanisms
by Arnoud W. A. Boot & Todd T. Milbourn & Anjolein Schmeits - 119-157 Credit Ratings and Stock Liquidity
by Elizabeth R. Odders-White & Mark J. Ready - 159-194 Explaining Returns with Cash-Flow Proxies
by Peter Hecht & Tuomo Vuolteenaho - 195-235 Competition and Cooperation in Divisible Good Auctions: An Experimental Examination
by Orly Sade & Charles Schnitzlein & Jaime F. Zender - 237-271 Asset Allocation with a High Dimensional Latent Factor Stochastic Volatility Model
by Yufeng Han - 273-317 Exchange Rates, Equity Prices, and Capital Flows
by Harald Hau & Hélène Rey - 319-355 Analysts' Weighting of Private and Public Information
by Qi Chen & Wei Jiang
2005, Volume 18, Issue 4
- 1139-1169 Fund Families as Delegated Monitors of Money Managers
by Simon Gervais & Anthony W. Lynch & David K. Musto - 1171-1217 Limit Order Book as a Market for Liquidity
by Thierry Foucault & Ohad Kadan & Eugene Kandel - 1219-1251 Model Uncertainty, Limited Market Participation, and Asset Prices
by H. Henry Cao & Tan Wang & Harold H. Zhang - 1253-1303 An Equilibrium Model of Asset Pricing and Moral Hazard
by Hui Ou-Yang - 1305-1342 The Model-Free Implied Volatility and Its Information Content
by George J. Jiang & Yisong S. Tian - 1343-1368 Why Do Larger Orders Receive Discounts on the London Stock Exchange?
by Dan Bernhardt & Vladimir Dvoracek & Eric Hughson & Ingrid M. Werner - 1369-1402 Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
by George Chacko & Luis M. Viceira - 1403-1432 Powerful CEOs and Their Impact on Corporate Performance
by Renée B. Adams & Heitor Almeida & Daniel Ferreira - 1433-1466 How Does Industry Affect Firm Financial Structure?
by Peter MacKay & Gordon M. Phillips - 1467-1502 Household Portfolio Diversification: A Case for Rank-Dependent Preferences
by Valery Polkovnichenko
2005, Volume 18, Issue 3
- 743-793 Island Goes Dark: Transparency, Fragmentation, and Regulation
by Terrence Hendershott & Charles M. Jones - 795-829 Do Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea
by Hyuk Choe & Bong-Chan Kho & René M. Stulz - 831-873 A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
by Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan R. Stroud - 875-924 Do Heterogeneous Beliefs Matter for Asset Pricing?
by Evan W. Anderson & Eric Ghysels & Jennifer L. Juergens - 925-953 Does Risk Seeking Drive Stock Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences and Beliefs
by Thierry Post & Haim Levy - 955-980 Coordination of Expectations in Asset Pricing Experiments
by Cars Hommes & Joep Sonnemans & Jan Tuinstra & Henk van de Velden - 981-1020 Market Frictions, Price Delay, and the Cross-Section of Expected Returns
by Kewei Hou & Tobias J. Moskowitz - 1021-1073 Optimal Contracts Under Adverse Selection and Moral Hazard: A Continuous-Time Approach
by Jaeyoung Sung - 1075-1104 Information Acquisition Under Uncertainty in Credit Markets
by Priyodorshi Banerjee - 1105-1138 IPO Market Timing
by Aydoğan Altı
2005, Volume 18, Issue 2
- 351-416 How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
by Yacine Aït-Sahalia - 417-457 Information Leakage and Market Efficiency
by Markus K. Brunnermeier - 459-490 Interbank Market Integration under Asymmetric Information
by Xavier Freixas - 491-533 Consumption and Portfolio Choice over the Life Cycle
by Joao F. Cocco - 535-567 Portfolio Choice in the Presence of Housing
by Joao F. Cocco - 569-597 Short-Term Persistence in Mutual Fund Performance
by Nicolas P. B. Bollen - 599-636 Anonymity, Adverse Selection, and the Sorting of Interdealer Trades
by Peter C. Reiss - 673-705 A Shrinkage Approach to Model Uncertainty and Asset Allocation
by Zhenyu Wang - 707-742 Jackknifing Bond Option Prices
by Peter C. B. Phillips
2005, Volume 18, Issue 1
- 1-35 The Pooling and Tranching of Securities: A Model of Informed Intermediation
by Peter M. DeMarzo - 37-84 Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates
by Yongmiao Hong - 85-129 An Empirical Analysis of Stock and Bond Market Liquidity
by Tarun Chordia - 131-164 An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks
by Jun Liu - 165-195 Is Default Event Risk Priced in Corporate Bonds?
by Joost Driessen - 197-239 Optimal Consumption and Portfolio Choices with Risky Housing and Borrowing Constraints
by Rui Yao - 241-270 Corporate Governance, Incentives, and Industry Consolidations
by Keith C. Brown - 271-300 Why Do Firms Announce Open-Market Repurchase Programs?
by Jacob Oded - 301-325 Decision Processes, Agency Problems, and Information: An Economic Analysis of Capital Budgeting Procedures
by Anthony M. Marino & John G. Matsusaka - 327-347 IPOs with Buy- and Sell-Side Information Production: The Dark Side of Open Sales
by Chris Yung
2004, Volume 17, Issue 4
- 915-949 Whence GARCH? A Preference-Based Explanation for Conditional Volatility
by Grant McQueen - 951-983 Robust Portfolio Rules and Asset Pricing
by Pascal J. Maenhout - 985-1014 Public Trading and Private Incentives
by Antoine Faure-Grimaud - 1015-1041 Prospect Theory and Mean-Variance Analysis
by Haim Levy - 1043-1071 Technical Analysis and Liquidity Provision
by Kenneth A. Kavajecz - 1073-1102 Bank Competition and Credit Standards
by Martin Ruckes - 1103-1128 A Theory of Corporate Capital Structure and Investment
by Miguel Cantillo - 1129-1166 Why Does Book Building Drive Out Auction Methods of IPO Issuance? Evidence from Japan
by Kenji Kutsuna - 1167-1184 The Value of Voting Rights to Majority Shareholders: Evidence from Dual-Class Stock Unifications
by Shmuel Hauser - 1185-1215 Board Composition, Board Effectiveness, and the Observed Form of Takeover Bids
by Mary M. Bange
2004, Volume 17, Issue 3
- 611-641 Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities
by Jun Liu - 643-665 Adverse Selection and the Required Return
by Nicolae Gârleanu - 667-698 Family Values and the Star Phenomenon: Strategies of Mutual Fund Families
by Vikram Nanda - 699-738 Stock Return Predictability and Asset Pricing Models
by Doron Avramov - 739-767 Capital Budgeting in Multidivision Firms: Information, Agency, and Incentives
by Antonio E. Bernardo - 769-809 The Overseas Listing Decision: New Evidence of Proximity Preference
by Sergei Sarkissian - 811-848 Are IPOs Really Underpriced?
by Amiyatosh K. Purnanandam - 849-877 Underpricing and Market Power in Uniform Price Auctions
by Ilan Kremer - 879-914 Wealth, Information Acquisition, and Portfolio Choice
by Joël Peress
2004, Volume 17, Issue 2
- 295-337 Strategic Trading, Liquidity, and Information Acquisition
by Haim Mendelson - 339-378 Conditioning Information and Variance Bounds on Pricing Kernels
by Geert Bekaert - 379-404 Evaluating an Alternative Risk Preference in Affine Term Structure Models
by Jefferson Duarte - 405-437 Confronting Information Asymmetries: Evidence from Real Estate Markets
by Mark J. Garmaise - 439-461 Advertising, Breadth of Ownership, and Liquidity
by Gustavo Grullon - 463-498 On the Timing and Execution of Open Market Repurchases
by Douglas O. Cook - 499-544 Structural Models of Corporate Bond Pricing: An Empirical Analysis
by Young Ho Eom - 545-580 Multiple Unit Auctions and Short Squeezes
by Kjell G. Nyborg - 581-610 Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications
by Ser-Huang Poon
2004, Volume 17, Issue 1
- 1-35 Valuation and Return Dynamics of New Ventures
by Jonathan B. Berk - 37-61 What's In It for Me? CEOs Whose Firms Are Acquired
by Jay C. Hartzell - 63-98 Risks and Portfolio Decisions Involving Hedge Funds
by Vikas Agarwal - 99-128 Career Concerns and Resource Allocation in Conglomerates
by Anand Mohan Goel - 129-163 The Emergence and Persistence of the Anglo-Saxon and German Financial Systems
by Sandeep Baliga - 165-206 Institutional Herding
by Richard W. Sias - 207-238 Options Trading and the CAPM
by Joel M. Vanden - 239-255 Why the NPV Criterion does not Maximize NPV
by Elazar Berkovitch - 257-294 Can Managerial Discretion Explain Observed Leverage Ratios?
by Erwan Morellec
2003, Volume 16, Issue 4
- 1007-1040 Informal Financial Networks: Theory and Evidence
by Mark J. Garmaise - 1041-1073 Price Discovery and Trading After Hours
by Michael J. Barclay - 1075-1129 Taxes and Corporate Finance: A Review
by John R. Graham - 1131-1165 Real Flexibility and Financial Structure: An Empirical Analysis
by Peter MacKay - 1167-1201 Cross-Subsidies, External Financing Constraints, and the Contribution of the Internal Capital Market to Firm Value
by Matthew T. Billett - 1203-1238 Greener Pastures and the Impact of Dynamic Institutional Preferences
by James A. Bennett - 1239-1272 Equilibrium Investment Strategies and Output Price Behavior: A Real-Options Approach
by Felipe L. Aguerrevere - 1273-1313 Institutional Liquidity Needs and the Structure of Monitored Finance
by Andrew Winton - 1315-1357 Raids, Rewards, and Reputations in the Market for Managerial Talent
by C. Edward Fee - 1359-1388 The Design of Financial Policies in Corporate Spin-offs
by Vikas Mehrotra
July 2003, Volume 16, Issue 3
- 631-678 Term Structure Dynamics in Theory and Reality
by Qiang Dai & Kenneth Singleton - 679-716 Fundamental Properties of Bond Prices in Models of the Short-Term Rate
by Antonio Mele - 717-763 A New Approach to Measuring Financial Contagion
by Kee-Hong Bae & G. Andrew Karolyi & René M. Stulz - 765-791 Financial Development and Financing Constraints: International Evidence from the Structural Investment Model
by Inessa Love - 793-843 Nonlinear Mean Reversion in the Short-Term Interest Rate
by Christopher S. Jones - 845-874 Return Distributions and Improved Tests of Asset Pricing Models
by Keith Vorkink - 875-919 Statistical Arbitrage and Securities Prices
by Oleg Bondarenko - 921-948 Information Technology and Financial Services Competition
by Robert Hauswald & Robert Marquez - 949-982 Underwriter Certification and Japanese Seasoned Equity Issues
by John W. Cooney & Hideaki Kiyoshi Kato & James S. Schallheim - 983-1005 Incomplete Consumption Risk Sharing and Currency Risk Premiums
by Sergei Sarkissian
2003, Volume 16, Issue 2
- 301-343 Liquidity-Based Competition for Order Flow
by Christine A. Parlour & Duane J. Seppi - 345-384 Market Making with Costly Monitoring: An Analysis of the SOES Controversy
by Thierry Foucault & Ailsa Röell & Patrik Sandås - 385-415 Order Preferencing and Market Quality on U.S. Equity Exchanges
by Mark A. Peterson & Erik R. Sirri - 417-457 An Analysis of Covariance Risk and Pricing Anomalies
by Tobias J. Moskowitz - 459-485 Risk Adjustment and Trading Strategies
by Dong-Hyun Ahn & Jennifer Conrad & Robert F. Dittmar - 487-525 Differences of Opinion, Short-Sales Constraints, and Market Crashes
by Harrison Hong & Jeremy C. Stein - 527-566 Delta-Hedged Gains and the Negative Market Volatility Risk Premium
by Gurdip Bakshi & Nikunj Kapadia - 567-595 Stochastic Discount Factor Bounds with Conditioning Information
by Wayne E. Ferson & Andrew F. Siegel - 597-629 Dynamic Equilibrium with Liquidity Constraints
by Jérôme Detemple & Angel Serrat
2003, Volume 16, Issue 1
- 1-29 The Role of Lockups in Initial Public Offerings
by Alon Brav & Paul A. Gompers - 31-61 Auctions vs. Bookbuilding and the Control of Underpricing in Hot IPO Markets
by FranÁois Derrien & Kent L. Womack - 63-99 Global Integration in Primary Equity Markets: The Role of U.S. Banks and U.S. Investors
by Alexander P. Ljungqvist & Tim Jenkinson & William J. Wilhelm, Jr. - 101-143 Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
by Gurdip Bakshi & Nikunj Kapadia & Dilip Madan - 145-171 Employee Reload Options: Pricing, Hedging, and Optimal Exercise
by Philip H. Dybvig & Mark Loewenstein - 173-208 Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem
by Hui Ou-Yang - 209-236 Debt Maturity and the Effects of Growth Opportunities and Liquidity Risk on Leverage
by Shane A. Johnson - 237-261 Managerial Compensation and the Market Reaction to Bank Loans
by Andres Almazan & Javier Suarez - 263-300 The Role of Trading Halts in Monitoring a Specialist Market
by Roger Edelen & Simon Gervais
2002, Volume 15, Issue 5
- 1325-1354 The Informational Efficiency of the Corporate Bond Market: An Intraday Analysis
by Edith S. Hotchkiss & Tavy Ronen - 1355-1383 Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy
by Viral V. Acharya & Jennifer N. Carpenter - 1385-1406 The Long-Term Performance of Corporate Bonds (and Stocks) Following Seasoned Equity Offerings
by Allan C. Eberhart & Akhtar Siddique - 1407-1437 On Mutual Fund Investment Styles
by Louis K. C. Chan & Hsiu-Lang Chen & Josef Lakonishok - 1439-1463 Mutual Fund Survivorship
by Mark M. Carhart & Jennifer N. Carpenter & Anthony W. Lynch & David K. Musto - 1465-1497 Fee Speech: Signaling, Risk-Sharing, and the Impact of Fee Structures on Investor Welfare
by Sanjiv Ranjan Das & Rangarajan K. Sundaram - 1499-1524 Demand Curves and the Pricing of Money Management
by Susan E. K. Christoffersen & David K. Musto - 1525-1560 The Asymmetric Relation Between Initial Margin Requirements and Stock Market Volatility Across Bull and Bear Markets
by Gikas A. Hardouvelis & Panayiotis Theodossiou - 1561-1586 Regulating Access to International Large-Value Payment Systems
by Cornelia Holthausen & Thomas R¯nde
2002, Volume 15, Issue 4
- 987-1003 Incentive-Compatible Contracts for the Sale of Information
by Bruno Biais & Laurent Germain - 1005-1047 Dynamic Volume-Return Relation of Individual Stocks
by Guillermo Llorente & Roni Michaely & Gideon Saar & Jiang Wang - 1049-1075 The Informational Role of Stock and Option Volume
by Kalok Chan & Y. Peter Chung & Wai-Ming Fong - 1077-1109 Price Formation and Market Quality When the Number and Presence of Insiders Is Unknown
by Charles R. Schnitzlein - 1111-1135 Trading and Pricing in Upstairs and Downstairs Stock Markets
by G. Geoffrey Booth & Ji-Chai Lin & Teppo Martikainen & Yiuman Tse - 1137-1187 International Asset Allocation With Regime Shifts
by Andrew Ang & Geert Bekaert - 1189-1221 An Isomorphism Between Asset Pricing Models With and Without Linear Habit Formation
by Mark Schroder & Costis Skiadas - 1223-1249 Stock Return Predictability: A Bayesian Model Selection Perspective
by K. J. Martijn Cremers - 1251-1282 Structuring International Cooperative Ventures
by Thomas H. Noe & Michael J. Rebello & Milind M. Shrikhande - 1283-1324 How Firms Should Hedge
by Gregory W. Brown & Klaus Bjerre Toft
2002, Volume 15, Issue 3
- 691-721 Option Exercise Games: An Application to the Equilibrium Investment Strategies of Firms
by Steven R. Grenadier - 723-750 The Effect of Leverage on Bidding Behavior: Theory and Evidence from the FCC Auctions
by Matthew J. Clayton & S. Abraham Ravid - 751-782 Macroeconomic Factors Do Influence Aggregate Stock Returns
by Mark J. Flannery & Aris A. Protopapadakis - 783-803 Are the Fama and French Factors Global or Country Specific?
by John M. Griffin - 805-835 Optimal Portfolio Selection with Transaction Costs and Finite Horizons
by Hong Liu & Mark Loewenstein - 837-868 Risk Arbitrage in Takeovers
by Francesca Cornelli & David D. Li - 869-900 Why New Issues and High-Accrual Firms Underperform: The Role of Analysts' Credulity
by Siew Hong Teoh & T. J. Wong - 901-926 Competition, Adverse Selection, and Information Dispersion in the Banking Industry
by Robert Marquez - 927-957 Financial Innovation and Information: The Role of Derivatives When a Market for Information Exists
by Massimo Massa - 959-985 Nondiscriminating Foreclosure and Voluntary Liquidating Costs
by Ko Wang & Leslie Young & Yuqing Zhou
March 2002, Volume 15, Issue 2
- 353-362 Introduction to Review of Financial Studies Conference on Market Frictions and Behavioral Finance
by John Heaton & Robert Korajczyk - 363-404 Robustness and Pricing with Uncertain Growth
by Marco Cagetti & Lars Peter Hansen & Thomas Sargent & Noah Williams - 405-412 Discussion of "Robustness and Pricing with Uncertain Growth"
by Pascal J. Maenhout - 413-444 Why Don't Issuers Get Upset About Leaving Money on the Table in IPOs?
by Tim Loughran & Jay R. Ritter - 445-454 Discussion of "Why Don't Issuers Get Upset About Leaving Money on the Table in IPOs?"
by Kent Daniel - 455-488 Online Investors: Do the Slow Die First?
by Brad M. Barber & Terrance Odean - 489-526 Underreaction to Self-Selected News Events: The Case of Stock Splits
by David L. Ikenberry & Sundaresh Ramnath - 527-532 Discussion of "Underreaction to Self-Selected News Events"
by Sheridan Titman - 533-564 Momentum and Autocorrelation in Stock Returns
by Jonathan Lewellen - 565-574 Discussion of "Momentum and Autocorrelation in Stock Returns"
by Joseph Chen & Harrison Hong - 575-606 Competing Theories of Financial Anomalies
by Alon Brav & J.B. Heaton - 607-614 Discussion of "Competing Theories of Financial Anomalies"
by Werner De Bondt - 615-648 Sidelined Investors, Trading-Generated News, and Security Returns
by H. Henry Cao & Joshua D. Coval & David Hirshleifer - 649-654 Discussion of "Sidelined Investors, Trading-Generated News, and Security Returns"
by Pietro Veronesi - 655-689 Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations
by Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw
March 2002, Volume 15, Issue 1
- 1-33 Testing Trade-Off and Pecking Order Predictions About Dividends and Debt
by Eugene F. Fama - 35-64 When Are Real Options Exercised? An Empirical Study of Mine Closings
by Alberto Moel - 65-95 Persistence and Reversal in Herd Behavior: Theory and Application to the Decision to Go Public
by Lee Nelson - 97-141 The Investor Recognition Hypothesis in a Dynamic General Equilibrium: Theory and Evidence
by Alexander Shapiro - 143-157 Cross-Sectional and Time-Series Determinants of Momentum Returns
by Narasimhan Jegadeesh - 159-194 Does the Limit Order Routing Decision Matter?
by Robert Battalio & Jason Greene & Brian Hatch - 195-241 Pricing Interest Rate Derivatives: A General Approach
by George Chacko - 243-288 Quadratic Term Structure Models: Theory and Evidence
by Dong-Hyun Ahn & Robert F. Dittmar - 289-318 Investor Activism and Financial Market Structure
by Thomas H. Noe - 319-347 An Empirical Analysis of Personal Bankruptcy and Delinquency
by David B. Gross - 349-351 Asset Pricing, John H. Cochrane. Princeton, NJ: Princeton University Press, 2001. 530 pp. ISBN 0-691-07498-4
by Wayne Ferson
2001, Volume 14, Issue 4
- 905-942 Assessing Asset Pricing Anomalies
by Brennan, Michael J & Xia, Yihong - 943-977 Ownership and Control of German Corporations
by Franks, Julian & Mayer, Colin - 979-1020 Information Flow and Pricing Errors: A Unified Approach to Estimation and Testing
by George, Thomas J & Hwang, Chuan-Yang - 1021-1057 The Many Faces of Information Disclosure
by Boot, Arnoud W A & Thakor, Anjan V - 1059-1082 Bank Power and Cash Holdings: Evidence from Japan
by Pinkowitz, Lee & Williamson, Rohan - 1083-1116 Disentangling the Dividend Information in Splits: A Decomposition Using Conditional Event-Study Methods
by Nayak, Subhankar & Prabhala, Nagpurnanand R - 1117-1151 Quantitative Asset Pricing Implications of Endogenous Solvency Constraints
by Alvarez, Fernando & Jermann, Urban J - 1153-1181 Price Impact Asymmetry of Block Trades: An Institutional Trading Explanation
by Saar, Gideon - 1183-1213 Rational Beliefs and Security Design
by Garmaise, Mark - 1215-1232 How Does the Spirit of Capitalism Affect Stock Market Prices?
by Smith, William T
2001, Volume 14, Issue 3
- 583-616 Optimal Consumption and Investment with Capital Gains Taxes
by Dammon, Robert M & Spatt, Chester S & Zhang, Harold H - 617-657 Cross-Border Investing with Tax Arbitrage: The Case of German Dividend Tax Credits
by McDonald, Robert L - 659-680 Familiarity Breeds Investment
by Huberman, Gur - 681-704 An Examination of Changes in Specialists' Posted Price Schedules
by Kavajecz, Kenneth A & Odders-White, Elizabeth R - 705-734 Adverse Selection and Competitive Market Making: Empirical Evidence from a Limit Order Market
by Sandas, Patrik